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Using Extreme Value Theory to Estimate Large Percentiles

 

作者: DennisD. Boos,  

 

期刊: Technometrics  (Taylor Available online 1984)
卷期: Volume 26, issue 1  

页码: 33-39

 

ISSN:0040-1706

 

年代: 1984

 

DOI:10.1080/00401706.1984.10487919

 

出版商: Taylor & Francis Group

 

关键词: Percentiles;Quantiles;Extreme value theory;Order statisticss;Censoring

 

数据来源: Taylor

 

摘要:

Weissman (1978) suggested percentile estimators based on the joint limiting distribution of theklargest order statistics. The present work identifies situations where Weissman's estimators are a significant improvement over the usual sample percentile estimators and gives practical advice on how to use these new estimators effectively. In particular, large reductions in mean squared error can be made when the tails of the distributions are approximately exponential andp≥ .95.

 

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